| Close | |
|---|---|
| Annualized Return | 0.0296 |
| Annualized Std Dev | 0.2046 |
| Annualized Sharpe (Rf=0%) | 0.1445 |
| Close | |
|---|---|
| Observations | 5097.0000 |
| NAs | 1.0000 |
| Minimum | -0.1080 |
| Quartile 1 | -0.0052 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0060 |
| Maximum | 0.1205 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0129 |
| Skewness | -0.0893 |
| Kurtosis | 10.0571 |
| Close | |
|---|---|
| Semi Deviation | 0.0093 |
| Gain Deviation | 0.0093 |
| Loss Deviation | 0.0101 |
| Downside Deviation (MAR=210%) | 0.0140 |
| Downside Deviation (Rf=0%) | 0.0092 |
| Downside Deviation (0%) | 0.0092 |
| Maximum Drawdown | 0.5793 |
| Historical VaR (95%) | -0.0192 |
| Historical ES (95%) | -0.0311 |
| Modified VaR (95%) | -0.0187 |
| Modified ES (95%) | -0.0266 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2017-05-25 | -0.5793 | 2408 | 339 | 2069 |
| 2000-12-12 | 2002-10-09 | 2006-10-26 | -0.4621 | 1474 | 454 | 1020 |
| 2020-02-13 | 2020-03-23 | 2020-08-06 | -0.3143 | 122 | 27 | 95 |
| 2018-01-29 | 2018-12-24 | 2019-05-03 | -0.1829 | 318 | 229 | 89 |
| 2020-09-03 | 2020-09-23 | 2020-11-16 | -0.1002 | 52 | 14 | 38 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 | -0.4 |
| 2001 | 0.7 | -1.2 | 1.3 | 2.1 | 0.2 | 1 | 0.5 | 0.1 | 0.3 | 3.1 | 0.2 | -0.3 | 8.5 |
| 2002 | 0 | 2.3 | -0.3 | 1 | 0 | -0.3 | -3 | 1.3 | 4.3 | 1.9 | 0 | 0 | 7.2 |
| 2003 | 1.8 | 1.2 | 0.8 | 0.4 | 1.3 | -1.5 | -1.3 | 0 | 1.4 | 0.1 | 1.4 | 0.6 | 6.5 |
| 2004 | -0.8 | 1 | 0.5 | 0.5 | 0 | -1.1 | -0.2 | -0.2 | 1.8 | -0.3 | 0.9 | -0.2 | 1.8 |
| 2005 | 1.1 | 0.7 | -0.5 | 1.3 | 0.6 | -0.2 | 0.1 | 0.6 | -0.6 | -0.1 | 1.8 | -0.6 | 4.2 |
| 2006 | 0.2 | 0.6 | -0.7 | -0.6 | 0.8 | 0.2 | -0.5 | 0.5 | -0.2 | -0.3 | -0.4 | -0.5 | -0.8 |
| 2007 | 0.5 | -1 | -0.4 | 0.4 | 0.6 | 0.2 | 0.3 | 1.5 | 1.3 | -2.4 | 0.4 | -0.9 | 0.6 |
| 2008 | 1.3 | -2.5 | 3.4 | 1 | 0.1 | -0.1 | -0.7 | -0.9 | 0 | 1.2 | -7.9 | 1.1 | -4.5 |
| 2009 | -1.8 | -1.8 | 2.1 | 0.8 | 2.2 | 1.1 | 0.7 | -2.2 | -2.8 | -3.1 | 1.9 | -0.9 | -3.7 |
| 2010 | 1.6 | 0.6 | 0.9 | -1.3 | -1.4 | 0.4 | -0.1 | 3.3 | 0.9 | -0.3 | 2.5 | 0.4 | 7.5 |
| 2011 | 2.2 | -1.5 | 0.6 | 0.2 | -2 | 1.2 | -0.7 | -0.9 | -2.7 | -3.4 | -0.4 | -0.1 | -7.5 |
| 2012 | 1 | 0.8 | 0.6 | 0.5 | -2.1 | 2.8 | 0.1 | 0.7 | 0.7 | 0.8 | 0 | 1.3 | 7.3 |
| 2013 | 0.7 | -0.2 | -0.4 | -0.8 | -1.8 | 0.6 | 0.9 | -0.7 | 0.6 | -0.1 | 0.2 | 0.3 | -0.8 |
| 2014 | -1.3 | 0.4 | 0.4 | 0 | 0.2 | 0.7 | -0.5 | 0.1 | -1.2 | 1.4 | -0.2 | -0.9 | -0.9 |
| 2015 | -1.6 | -0.2 | -0.1 | 0.8 | -0.3 | 0.7 | -0.3 | -3.2 | 0.3 | -0.2 | 0.8 | -0.9 | -4.3 |
| 2016 | -0.1 | 2.5 | -0.1 | -0.6 | 0.1 | 0.2 | -0.4 | 0 | 0.6 | -0.5 | -0.1 | -0.2 | 1.6 |
| 2017 | 0.3 | 1.4 | -0.3 | 0.3 | 0.5 | -0.1 | 0.3 | 0.2 | 0.5 | 0.2 | -0.2 | -0.2 | 2.9 |
| 2018 | -0.1 | -1.5 | 0.9 | 0 | 1.1 | 0.4 | 0.2 | -0.4 | 0.6 | 1 | 0.2 | 0.4 | 3 |
| 2019 | -0.4 | 0.6 | 1.2 | -0.7 | -1.1 | 0.8 | -0.7 | 0.2 | -1 | 0.9 | -0.5 | 0.3 | -0.4 |
| 2020 | -1.4 | -0.5 | -3.9 | -2.5 | 0.7 | 0.5 | 0.5 | 0.8 | 0.5 | -1 | 1.7 | -0.1 | -4.9 |
| 2021 | 1.6 | 2 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.6 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2000-12-08 36.3 SPY 134. 0.0023 0.0132 -0.0469 -0.104 -0.0557 NA NA <NA> NA NA NA
2 2000-12-11 36.6 SPY 139. 0.0348 0.0396 -0.01 -0.0663 -0.0246 NA NA <NA> NA NA NA
3 2000-12-12 36.4 SPY 138. -0.0043 0.0023 0.0103 -0.0729 -0.0193 NA NA <NA> NA NA NA
4 2000-12-14 35.8 SPY 134. -0.0127 0.0056 -0.0339 -0.08 -0.0543 NA NA <NA> NA NA NA
5 2000-12-15 35.3 SPY 131. -0.0225 -0.0193 -0.0586 -0.0918 -0.0792 NA NA <NA> NA NA NA
6 2000-12-18 34.9 SPY 133. 0.0134 -0.0426 -0.0339 -0.0908 -0.0631 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>